UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM
CURRENT REPORT
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☐
Item 8.01. Other Events.
On September 12, 2022, Orchid Island Capital, Inc. (the “Company”) announced that the Board of Directors of the Company
declared a dividend for the month of September 2022 of $0.16 per share of the Company’s common stock, to be paid on
October 27, 2022 to holders of record on September 30, 2022, with an ex-dividend date of September 29, 2022. In addition,
the Company announced certain details of its RMBS portfolio as of August 31, 2022 as well as certain other information
regarding the Company. A copy of the Company’s press release announcing the dividend and other information regarding the
Company is attached hereto as Exhibit 99.1 and incorporated herein by this reference.
Caution About Forward-Looking Statements.
This Current Report on Form 8-K contains forward-looking statements within the meaning of the Private Securities Litigation
Reform Act of 1995 and other federal securities laws, including, but not limited to, statements about the Company’s
distributions and the expected funding of purchased assets. These forward -looking statements are based upon the Company’s
present expectations, but the Company cannot assure investors that actual results will not vary from the expectations
contained in the forward-looking statements. Investors should not place undue reliance upon forward looking statements. For
further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company's
Annual Report on Form 10-K for the fiscal year ended December 31, 2021. All forward-looking statements speak only as of
the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or
how they may affect the Company. Except as required by law, the Company is not obligated to, and does not intend to,
update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.
Item 9.01. Financial Statements and Exhibits.
(d) Exhibits
Exhibit No.
Description
99.1
104
Cover Page Interactive Data File (embedded within the Inline XBRL
document)
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned hereunto duly authorized.
Date: September 12, 2022
By:
/s/ Robert E. Cauley
Robert E. Cauley
Chairman and Chief Executive Officer
ORCHID ISLAND CAPITAL ANNOUNCES
SEPTEMBER 2022 MONTHLY DIVIDEND AND AUGUST 31, 2022 RMBS
PORTFOLIO CHARACTERISTICS
●
September 2022 Monthly Dividend of $0.16 Per Share of Common Stock
●
RMBS Portfolio Characteristics as of August 31, 2022
●
Next Dividend Announcement Expected October 12, 2022
Vero Beach, Fla., September 12, 2022 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today
that the Board of Directors of the Company declared a monthly cash dividend for the month of September 2022. The dividend
of $0.16 per share will be paid October 27, 2022 to holders of record of the Company’s common stock on September 30, 2022,
with an ex-dividend date of September 29, 2022. The Company plans on announcing its next common stock dividend on
October 12, 2022.
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real
estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of
its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain.
The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a
certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum
distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
As of September 12, 2022, the Company had 35,075,239 shares of common stock outstanding. As of August 31, 2022 and June
30, 2022, the Company had 35,250,239 shares of common stock outstanding, adjusted for the Company’s one-for-five reverse
stock split effective August 30, 2022.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of August 31, 2022 are presented below. These figures are preliminary and subject to change.
The information contained herein is an intra-quarter update created by the Company based upon information that the Company
believes is accurate:
●
RMBS Valuation Characteristics
●
RMBS Assets by Agency
●
Investment Company Act of 1940 (Whole Pool) Test Results
●
Repurchase Agreement Exposure by Counterparty
●
RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment
strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS,
such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or
Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment
adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of
1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the
Company’s distributions and the expected funding of purchased assets. These forward-looking statements are based upon
Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place
undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer
to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.
RMBS Valuation Characteristics
($ in thousands)
Realized
Realized
Aug 2022
Jun - Aug
Modeled
Modeled
Net
Weighted
CPR
2022 CPR
Interest
Interest
%
Weighted
Average
(1-Month)
(3-Month)
Rate
Rate
Current
Fair
of
Current
Average
Maturity
(Reported
(Reported
Sensitivity
Sensitivity
Type
Face
Value
(1)
Portfolio
Price
Coupon
GWAC
Age
(Months)
in Sep)
in Sep)
(-50 BPS)
(2)
(+50 BPS)
(2)
Pass Through RMBS
15yr 4.0
$
411
$
413
0.01%
$
100.46
4.00%
4.54%
0.7%
0.8%
$
7
$
(7)
15yr Total
411
413
0.01%
100.46
4.00%
4.54%
0.7%
0.8%
7
(7)
30yr 3.0
3,417,993
3,188,340
74.66%
93.28
3.00%
3.46%
6.3%
6.5%
101,295
(105,745)
30yr 3.5
221,920
215,654
5.05%
97.18
3.50%
4.03%
10.1%
11.4%
6,018
(6,250)
30yr 4.0
279,622
274,982
6.44%
98.34
4.00%
4.72%
6.6%
7.3%
6,174
(6,922)
30yr 4.5
371,742
370,995
8.69%
99.80
4.50%
5.45%
n/a
n/a
5,623
(6,897)
30yr 5.0
55,453
56,119
1.31%
101.20
5.00%
5.92%
12.0%
n/a
678
(852)
30yr Total
4,346,730
4,106,090
96.15%
94.46
3.24%
3.77%
6.6%
6.8%
119,788
(126,666)
Total Pass Through RMBS
4,347,141
4,106,503
96.16%
94.46
3.24%
3.77%
6.6%
6.8%
119,795
(126,673)
Structured RMBS
IO 20yr 3.0
321,009
37,756
0.88%
11.76
3.00%
3.69%
10.0%
10.9%
(331)
153
IO 20yr 4.0
11,540
1,373
0.03%
11.90
4.00%
4.57%
13.3%
12.3%
1
(4)
IO 30yr 3.0
40,417
6,292
0.15%
15.57
3.00%
3.69%
13.3%
14.5%
(173)
135
IO 30yr 3.5
491,842
91,966
2.15%
18.70
3.50%
4.01%
10.4%
11.0%
(1,736)
1,154
IO 30yr 4.0
143,093
24,875
0.58%
17.38
4.00%
4.55%
12.3%
14.7%
(837)
668
IO 30yr 4.5
4,105
725
0.02%
17.66
4.50%
4.99%
11.6%
10.6%
(18)
14
IO 30yr 5.0
2,253
445
0.01%
19.73
5.00%
5.36%
2.4%
14.1%
(14)
11
IO Total
1,014,259
163,432
3.83%
16.11
3.41%
3.99%
10.7%
11.7%
(3,108)
2,131
IIO 30yr 4.0
34,042
736
0.02%
2.16
1.92%
4.40%
23.4%
12.8%
181
(159)
Total Structured RMBS
1,048,301
164,168
3.84%
15.66
3.36%
4.00%
11.1%
11.7%
(2,927)
1,972
Total Mortgage Assets
$
5,395,442
$
4,270,671
100.00%
3.27%
3.82%
7.6%
7.8%
$
116,868
$
(124,701)
Interest
Interest
Average
Hedge
Rate
Rate
Notional
Period
Sensitivity
Sensitivity
Hedge
Balance
End
(-50 BPS)
(2)
(+50 BPS)
(2)
5-Year Treasury Future
(3)
$
(1,200,500)
Dec-2022
$
(27,346)
$
31,640
10-Year Treasury Ultra
(4)
(274,500)
Dec-2022
(16,897)
17,978
Swaps
(1,400,000)
Jul-2028
(35,518)
34,325
TBA
(175,000)
Oct-2022
(5,361)
5,550
Swaptions
(826,900)
Jul-2025
(14,138)
11,159
Hedge Total
$
(3,876,900)
$
(99,260)
$
100,652
Rate Shock Grand Total
$
17,608
$
(24,049)
(1)
Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 2022.
(2)
Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming
constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.
(3)
Five-year Treasury futures contracts were valued at prices of $110.82 at August 31, 2022. The market value of the short position was $1,330.4 million.
(4)
Ten-year Treasury Ultra futures contracts were valued at prices of $125.19 at August 31, 2022. The market value of the short position was $343.6 million.
RMBS Assets by Agency
Investment Company Act of 1940 Whole Pool Test
($ in thousands)
($ in thousands)
Percentage
Percentage
Fair
of
Fair
of
Asset Category
Value
(1)
Portfolio
Asset Category
Value
(1)
Portfolio
As of August 31, 2022
As of August 31, 2022
Fannie Mae
$
2,866,484
67.1%
Non-Whole Pool Assets
$
259,030
6.1%
Freddie Mac
1,404,186
32.9%
Whole Pool Assets
4,011,640
93.9%
Total Mortgage Assets
$
4,270,670
100.0%
Total Mortgage Assets
$
4,270,670
100.0%
(1) Amounts in the tables above include assets with a fair value of approximately $371.0 million purchased in August 2022, which settle in September 2022.
Borrowings By Counterparty
($ in thousands)
Weighted
Weighted
% of
Average
Average
Total
Total
Repo
Maturity
Longest
As of August 31, 2022
Borrowings
(1)
Debt
Rate
in Days
Maturity
J.P. Morgan Securities LLC
$
350,323
9.3%
2.41%
13
9/26/2022
Mirae Asset Securities (USA) Inc.
347,836
9.3%
2.06%
43
1/30/2023
Mitsubishi UFJ Securities (USA), Inc
328,481
8.8%
2.71%
36
11/8/2022
ABN AMRO Bank N.V.
321,115
8.6%
2.62%
57
11/15/2022
Merrill Lynch, Pierce, Fenner & Smith
313,086
8.4%
2.50%
24
10/21/2022
Cantor Fitzgerald & Co
244,711
6.5%
2.55%
38
11/16/2022
ED&F Man Capital Markets Inc
232,222
6.2%
2.36%
21
9/22/2022
RBC Capital Markets, LLC
224,605
6.0%
2.38%
6
9/14/2022
ING Financial Markets LLC
199,799
5.3%
2.38%
22
9/22/2022
Daiwa Capital Markets America Inc.
179,821
4.8%
2.36%
17
9/22/2022
Santander Bank, N.A.
171,740
4.6%
2.51%
28
9/29/2022
Goldman, Sachs & Co.
157,918
4.2%
2.51%
27
9/29/2022
ASL Capital Markets Inc.
136,326
3.6%
2.38%
16
9/16/2022
Wells Fargo Bank, N.A.
119,485
3.2%
2.48%
37
11/10/2022
Citigroup Global Markets Inc
115,187
3.1%
2.53%
39
10/24/2022
BMO Capital Markets Corp.
109,982
2.9%
2.44%
25
11/18/2022
StoneX Financial Inc.
77,380
2.1%
2.39%
22
9/22/2022
South Street Securities, LLC
59,791
1.6%
2.39%
19
9/19/2022
Nomura Securities International, Inc.
35,099
0.9%
2.38%
21
9/21/2022
Lucid Cash Fund USG, LLC
23,506
0.6%
2.38%
8
9/8/2022
Total Borrowings
$
3,748,413
100.0%
2.44%
29
1/30/2023
(1)
In August 2022, the Company purchased assets with a fair value of approximately $371.0 million, which settle in
September 2022 that are expected to be funded substantially by repurchase agreements not included in the table above.
Contact:
Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: (772) 231-1400